What are you after specifically? Stocks, futures, forex etc? And in what format: tick, 1 min bars, daily? Only US markets or otherwise? I assume you're after historical data? How far back do you need it?
I am looking for Futures Historical Tick data (on major indices and/or FX) that will also include Bid price, bid volume size, ask price, ask volume size and open interest size on both bid and ask. I want to perform statistical analysis, so I need a lot of observations. When I am refering to bid and ask volume size, I mean volume taken place in bid and ask, the same applies for the rest features that I am looking (price and open interest). Any help is really appreciated.
Never used them, but I assume you can get that from OpenTick. I think they have data going back 20 years, not sure if its with the info you want.
How about Tick Data (http://www.tickdata.com/)? It looks helpful, as it is considered the "research-ready historical tick database for the U.S. equity options market." Here are some interesting links: - Tick Data and CBOE Introduce First Commercially-Available Research - tick data futures forex stock index LSE LIFFE NASDAQ EUREX -Tick Data - NEEDS - Nikkei Economic Electronic Database Systems Has anyone yet used it?